Order Cancel Reject (9) Message

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Order Cancel Reject (9) Message

Purpose

Used to reject an order cancel or cancel/replace request

Message Direction

From TT FIX to FIX client

Tag Directory

Click the links below to navigate to the documentation for that tag.

Show Comments

Flat tag list

Header

8 9 34 35 43 49 50 52 56 57 97 116 122 129 142

Trader

1 582 10553 18101 18102 18220 18221

StrategyParametersGrp

957 958 959 960

Compliance Tags

15 22 30 48 55 70 100 107 167 200 201 202 205 207 460 461 541 743 762 18211 18223

SecurityAltIDGrp

454 455 456 16207

LegInstrumentGrp

555 556 561 566 600 602 603 607 608 609 610 611 612 616 620 623 624 637 654 687 764 1358 1366 1420 16568 16615 18100 18212 18213 18224 18314

Trailer

1 8 9 10 11 15 21 22 30 34 35 37 39 41 43 48 49 50 52 55 56 57 58 60 70 97 100 102 107 116 122 129 142 167 198 200 201 202 205 207 434 454 455 456 460 461 541 555 556 561 566 582 600 602 603 607 608 609 610 611 612 616 620 623 624 637 654 687 743 762 764 864 865 866 957 958 959 960 1145 1358 1366 1420 2404 7928 10011 10553 16106 16110 16115 16116 16117 16131 16207 16556 16557 16558 16559 16561 16568 16601 16602 16603 16604 16605 16606 16607 16608 16609 16610 16615 16626 16627 16628 16631 16632 16633 16634 16635 16636 16637 16638 16639 16640 16761 16857 16858 16999 18001 18100 18101 18102 18211 18212 18213 18216 18218 18220 18221 18222 18223 18224 18227 18314

OrderCancelReject [Edit FIX Group]

Tag

Name

Type

Required

Comments

Header

For additional information about this component group, consult the documentation.

35=9 (MsgType)

8	BeginString	STRING	Y	FIX protocol version The tag indicates the beginning of a new message. This tag must be the first tag in the message. You must set the value to FIX.4.2 or FIX.4.4.
9	BodyLength	INT	Y	Message length (in characters) The value represents number of characters in the message following this tag up to, and including, the delimiter immediately preceding Tag 10 (CheckSum). This tag must be the second field in a message.
35	MsgType	STRING	Y	Type of message contained in the message body This tag must appear third in the list of header tags. Possible values: 0: Heartbeat 1: Test Request 2: Resend Request 3: Reject 4: Sequence Reset 5: Logout 8: Execution Report 9: Order Cancel Reject A: Logon B: News c: Security Definition Request D: Order Single d: Security Definition e: Security Status Request f: Security Status F: Order Cancel Request G: Order Cancel Replace Request H: Order Status Request Q: Don’t Know Trade (Inbound Drop Copy only) R: Quote Request V: Market Data Request W: Market Data Snapshot Full Refresh X: Market Data Incremental Refresh Y: Market Data Request Reject AD: Trade Capture Report Request AE: Trade Capture Report AQ: Trade Capture Report Request Ack
49	SenderCompID	STRING	Y	ID of the FIX session The value will be the same value the FIX client sends in tag 56 (TargetCompID) in its requests to TT FIX.
56	TargetCompID	STRING	Y	FIX client ID, corresponding to the SenderCompID specified for the user in TT User Setup The value is the same as sent in tag 49 (SenderCompID) in FIX client requests.
50	SenderSubID	STRING	C Sent if TT User Setup specifies an exchange operator ID	Unique ID for the message sender For CME, the value corresponds to the Operator ID.
142	SenderLocationID	STRING	N	Specific message originator’s location (i.e. geographic location and/or desk, trader)
116	OnBehalfOfSubID	STRING	N	Unique Trader ID (can also be provided in Tag 50 (SenderSubID)) The value maps to the Alias field configured for a user in Setup.
129	DeliverToSubID	STRING	C Sent in Execution Report (8) and Order Cancel Reject (9) messages.	Value of Tag 116 (OnBehalfOfSubID) in the FIX client request.
34	MsgSeqNum	SEQNUM	Y	Message sequence number
43	PossDupFlag	BOOLEAN	C Sent when TT FIX resends messages	Whether the sequence number for this message is already used Possible values: N: NO: Original transmission Y: YES: Possible duplicate
97	PossResend	BOOLEAN	C Sent when TT FIX restarts after encountering a corrupt FIX message cache, and only until it completes the initial download.	Whether the message might contain information that has been sent under another sequence number Possible values: N: NO: Original transmission Y: YES: Possible resend
122	OrigSendingTime	UTCTIMESTAMP	C Sent when TT FIX resends a message	Original time of message transmission, when transmitting orders as the result of a resend request Always expressed in UTC.
52	SendingTime	UTCTIMESTAMP	Y	Time, in UTC, the message was sent.
57	TargetSubID	STRING	C If the Target Sub Id field has a value for the FIX Session in Setup, you must supply that value is this tag for a Logon (A) message.	Unique ID for the message receiver.

OrderID

STRING

Internal TT order key assigned to all orders submitted through any TT software.

The value remains constant for the life of an order.

In the following situations, the tag contains a value other than an internal key.

For messages where the order is unknown, TT FIX returns the string NONE.

18218

TTCustomerName

STRING

The Order Profile applied to the TT account.

Can be used by FIX clients to specify the User Setup Order Profile name to be applied to a new order / change order message.

If the successful lookup includes an Order Profile, the profile name is copied to Tag 18218, TT Customer Name.

ClOrdID

STRING

Not sent in response to cancel requests sent by non-FIX components, such as Trade and algo child orders.

Unique identifier for an Order as assigned by TT. Uniqueness is guaranteed within a single FIX trading session. Tag 11 values may be reused after the daily or weekly FIX session reset. Maximum length of the tag 11 is (20) characters.

OrigClOrdID

STRING

Not sent in response to cancel requests sent by non-FIX components, such as Trade and algo child orders.

Previous order identifier. Equal to Tag 11 (ClOrdID) of the original request message

198

SecondaryOrderID

STRING

Unique identifier for the order, as assigned by the exchange.

Note: The value can vary over time for the same order.

10011

TTClOrdID

STRING

Sent when available

Internal unique id across TT system; used primarily for internal debugging

OrdStatus

CHAR

Status of the order

Note: If more than one of these values applies, TT FIX sends the value required by the FIX 4.2 specification.

Possible values:

0: New
1: Partially filled
2: Filled
3: Done for day
4: Cancelled
5: Replaced
6: Cancel pending
7: Stopped
8: Rejected
9: Suspended (Held)
A: Pending new
B: Calculated
C: Expired
D: Accepted for bidding
E: Pending replace
z: Inactive (TT internal state only and won’t be sent via FIX messages to any external party)

TransactTime

UTCTIMESTAMP

Time, in UTC, the transaction occurred with microsecond precision.

For example:

Millisecond precision: 60=20170509-22:34:56.881
Microsecond precision: 60=20170509-22:34:56.881321

Note: This tag is valid only in messages sent from TT FIX Drop Copy sessions when the Compliance Feed (Send original order/cancel/change messages and pending execution reports) setting is enabled in Setup.

434

CxlRejResponseTo

CHAR

Type of rejected message

Possible values:

1: Reject is for an Order Cancel Request (F)
2: Reject is for an Order Cancel Replace Request (G)

102

CxlRejReason

INT

Reason for rejecting the cancel request

Possible values:

0: Too Late to Cancel
1: Unknown Order
2: Broker Option
3: Action Already Pending
4: Unable to process Order Mass Cancel Request
5: OrigOrdModTime (586) did not match last TransactTime (60) of order
6: Duplicate ClOrdID (11) received
7: Price exceeds current price
8: Price exceeds current price band
9: Trade Along Required
10: Invalid Investor Id
11: Unsupported Order Characteristic
12: Surveillence Option
13: Incorrect Quantity
14: Incorrect Allocated Quantity
15: Unknown Account
16: Price Exceeds Current Price Band
18: Invalid Price Increment
19: Message Pending
20: Routing Error
99: Other
1003: Market Closed
1007: Fix Field Missing Or Incorrect
1010: Required Field Missing
1011: Fix Field Incorrect
1012: Price Must Be Greater Than Zero
1013: Invalid Order Qualifier
1014: User Not Authorized
2013: Market Orders Not Supported By Opposite
2019: Invalid Expire Date
2044: Order Not In Book
2045: Order Not In Book2
2046: Disclosed Qty Cannot Be Greater
2047: Unknown Contract
2048: Cancel With Different Sender Comp Id
2049: Clordid Different Than Correlationclordid
2050: Clordid Different Than Originalclordid
2051: Different Side
2052: Different Group
2053: Different Security Type
2054: Different Account
2055: Different Qty
2056: Cancel With Different Trader Id
2058: Stop Price Must Be Greater
2059: Stop Price Must Be Smaller
2060: Sell Stop Price Must Be Below Ltp
2061: Buy Stop Price Must Be Above Ltp
2100: Different Product
2101: Different Inflight Fill Mitigation
2102: Modify With Different Sender Comp Id
2103: Modify With Different Trader Id
2115: Order Qty Outside Allowable Range
2130: Invalid Order Type For Pcp
2137: Order Price Outside Limits
2179: Order Price Outside Bands
2311: Invalid Order Type For Group
2500: Instrument Cross Request In Progress
2501: Order Qty Too Low
2600: Market Maker Protection Has Tripped
4000: Engine did not respond
5001: Euronext Unknown Order
5099: Euronext Other
5020: Comp Id Problem
5300: Logon Problem
5313: No Router For Security Group
5314: Router Not Available Or Connected
5318: Invalid Price
5319: Invalid Ordqty
5320: Invalid Ordtype
5321: Invalid Side
6000: Fully filled
6001: Pending replace
6002: Pending cancel
7000: Order Rejected
7001: Contract Not Gtc Gtd Eligible
7009: Contract Past Expiration
7011: Max Contract Working Qty Exceeded
7015: Modify With Different Side
7018: Contract Not Gtc Gtd Eligible2
7020: No Trading Calendar For Expire Date
7021: Expire Date Beyond Instrument Expiration
7022: Expire Date Beyond Leg Instrument Expiration
7024: Market In No Cancel
7027: Invalid Order Type For Reserved Market
7028: Order Session Date In Past
7613: Disclosed Qty Cannot Be Smaller
9999: Technical Error Function Not Performed

16131

RejectSource

INT

Source of the reject message.

Possible values:

1: Edge server
2: Bouncer (risk server)
3: Gateway
4: Exchange
5: Algo server
6: ASE server
7: TTINT
8: External
9: TTAPI
10: Client application
11: FIX Adapter
12: Stager
13: TT Options Risk

2404

ComplianceText

STRING

ComplianceText (Tag 2404) is a free-form text field containing compliance information used for regulatory reporting. Tag 2404 is supported on all order, change, cancel and execution report messages.

ComplianceText (Tag 2404) is conditionally required for some orders in production for Eurex and EEX.

If Trading Capacity is Proprietary (5) then ComplianceText (Tag 2404) is required
If Trading Capacity is Agency (1), then ComplianceText (Tag 2404) is required when the user is an Exchange Trader acting for another exchange participant. It should not be sent when the user is a client of the Member (not an exchange trader).

Note: Orders will not be rejected by the exchange if this field is not populated.

Tag 2404 in the TT system behaves as follows:

ComplianceText (Tag 2404) should include the following info: Member ID/ Trader ID combination, aka the MGT (for ex. ABCFRTRD001).
ComplianceText (Tag 2404) will be set at the User level in a new field to be added in Setup, “Compliance Text”.
If ComplianceText (Tag 2404) is populated, TT will send it to the exchange in Tag 2404, if it is not populated, TT will not send the tag.

18222

AOTCPreventionActionType

CHAR

Indicates the action taken to avoid internal crossing orders

Possible values:

0: None
1: Held
2: Cancel
3: Fill
4: Reduced order
5: Reduced change
6: Released order
7: Replaced order
8: No action on order
9: Cancel replace

18227

Organization

STRING

User-defined name of the trader’s organization.

Trader

Information about the trader routing the order.

For additional information about this component group, consult the full documentation.

1	Account	STRING	C Sent when available.	Order-routing account The value matches the Tag 1 (Account) in the corresponding request. Note: Account names are stored as case-sensitive strings. Users must match case-sensitivity when using Tag 1 (Account). Note: When the value represents an internal, non-routing account, TT also sends a PartiesGrp with the external routing (parent) account in tag 448 (PartyID) and with tag 452 (PartyRole) set to 24 (Customer Account).
582	CustOrderCapacity	INT	C Send when required by the Exchange	Capacity of customer placing the order Primarily used by futures exchanges to indicate the CTICode (customer type indicator) as required by the US CFTC (Commodity Futures Trading Commission). Possible values: 1: Member trading for own account 2: Clearing Firm trading for its proprietary account 3: Member trading for another member 4: All other
10553	TTID	STRING	C Sent when available	TT login email address
18220	BrokerID	STRING	C Condition: Sent when available in Execution Report (8), Order Cancel Reject (9) and Trade Capture Report Ack (AR) messages.	TT-defined short code for the broker
18221	CompanyID	STRING	C Sent when available in Execution Report (8), Order Cancel Reject (9) and Trade Capture Report Ack (AR) messages.	TT-defined name of the firm that sends messages to the exchange. Note: If the Company Administrator specified a FIX Company ID for a managed user in Setup, that value is returned in this tag.
18101	AccountID	STRING	C Sent when available in Execution Report (8) and Order Cancel Reject (9) messages only when the Send TT Internal Account ID and User ID on Execution Reports/Cancel Reject Messages setting is enabled for a Drop Copy OUT or Order Routing FIX session in Setup.	TT-defined ID of the TT account referenced in tag 1 (Account).
18102	UserID	STRING	C Sent when available in Execution Report (8) and Order Cancel Reject (9) messages only when the Send TT Internal Account ID and User ID on Execution Reports/Cancel Reject Messages setting is enabled for a Drop Copy OUT or Order Routing FIX session in Setup.	TT-defined ID of the TT user referenced in tag 129 (DeliverToSubId)

Text

STRING

Sent with TT FIX needs to provide additional information

Additional information for the person who works the order

HandlInst

CHAR

Required when submitting a staged order

Order handling instructions.

Possible values:

1: Automated execution order, private, no broker intervention
2: Automated execution order, public, broker intervention OK
3: Staged order, broker intervention required

16106

StagedOrderMsg

STRING

Message text associated with the staged order.

Typically used to provide additional information to the broker responsible for managing the order. Will appear on both parent and child staged orders.

Note: Sent only for staged orders (Tag 21 (HandlInst)=3)

16110

StagedOrderOwner

STRING

Sent for staged orders (Tag 21 (HandlInst)=3)

ID of the trader working the staged order.

16115

ExternalSource

BOOLEAN

Whether this message was imported from an external source.

16116

OrderIDGUID

STRING

Sent only when the Send and receive Order ID values in short form setting is enabled for the FIX session in the Setup application.

TT order ID

This tag is populated with the regular TT order ID when a shortened ID is sent in tag 37 (OrderID).

16999

ClearingAccountOverride

STRING

Overrides the clearing account defined in the Setup application for the user’s account named in Tag 1.

16556

TextA

STRING

Value corresponding to the Text A field in TT widgets

16557

TextB

STRING

Value corresponding to the Text B field in TT widgets

16558

TextTT

STRING

Value corresponding to the Text TT field in TT widgets

16559

TextC

STRING

Customer-defined text field not sent to exchange.

StrategyParametersGrp

Strategy parameter repeating group for TT Order types, user-defined ADL algos, third-party algos, or informational fields.

For additional information about this component group, consult the full documentation.

957	NoStrategyParameters	NUMINGROUP	N	Repeating group of parameters for the algo or the free-form text fields to attach to the order
958	StrategyParameterName	STRING	C Required when tag 957 > 0	Name of the algo parameter or free-form text field For a list and descriptions of the parameter names TT uses to support TT Order Types, Autospreader and Aggregator orders, and Free-Form Text fields, refer to the Component: StrategyParametersGrp section of the TT FIX help. For custom or third-party algos, the name must match the name specified by the algo. Note: In addition to names listed, TT uses the following reserved field names. These values must not be used when populating FIX Tag 958 (StrategyParameterName). TT strongly recommends clients use the individual tags as defined in the TT XML schema and shown below: OrderQty: OrderQty Tag 38 LimitPrice: Price Tag 44 IfTouchedPrice: StopPx Tag 99 Text A: TextA Tag 16556 Text B: TextB Tag 16557 Text C: TextC Tag 16559 Text TT: TextTT Tag 16558
959	StrategyParameterType	INT	C Required when tag 957 > 0	Type of data contained in tag 960 (StrategyParameterValue) Possible values: 1: Int 6: Float 7: Qty 8: Price 13: Boolean 14: String 19: UTCTimestamp
960	StrategyParameterValue	STRING	C Required when tag 957 > 0	Value of the parameter or additional order information

16561

TimeReceivedFromExchange

UTCTIMESTAMP

Time in UTC that an exchange execution report message was received by the TT order connector application.

16626

NVDR

BOOLEAN

Related to TFEX Non-Voting Depository Receipt (NVDR) trading.

Note: TFEX does not provide documentation to ISVs regarding usage of the NVDR (Tag 16626) and TTF (Tag 16627) fields. For information about how to use these fields, please contact the exchange.

16627

TTF

BOOLEAN

Related to TFEX Thai Trust Fund (TTF) trading.

16628

TFUserType

CHAR

Sets the type of user that entered the order.

Note: For information on the TFEX user types, please refer to the exchange’s documentation.

Possible values:

T: Traditional trading
P: Program trading
M: Market Making
G: Market making with Program trading

16117

OrderSource

INT

TT component that most recently acted on an active order.

Possible values:

0: ASE
2: TTW
3: Invalid
4: TT Trader
6: Mobile
7: ROE
9: External
10: TT FIX
11: Aggregator
12: Bouncer
13: Lambda Liquidator
14: External FIX Adapter
15: Prime ASE
16: Nimbus
17: ADL
18: TTSDK
19: TT Algo
20: ADL Prime
21: TTSDK Prime
22: TT Algo Prime
23: Chart
24: TTD
25: TTD Chart
26: TTINT
27: TT Admin
28: TT .NET API client
29: TT .NET API server
30: C++ API
31: TT Options Risk
32: External upload
33: Stager
34: TT Score
35: FIX Adapter Child Router
36: POT Child Router
37: Terminator

7928

SelfMatchPreventionID

STRING

Exchange-registered identifier that enables customers to prevent the matching of orders for accounts with common ownership, even across different executing firms.

16601

EchoDC_01

STRING